相关论文: Pricing Virtual Paths with Quality-of-Service Guar…

We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…

The hidden variable formalism (based on the assumption of some intrinsic node parameters) turned out to be a remarkably efficient and powerful approach in describing and analyzing the topology of complex networks. Owing to one of its most…

In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as…

Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…

Motivated by applications where a system must remain operational via continual procurement of contracts, we study two online contract selection problems under uncertain prices. At each time step, a price drawn from a known distribution is…

In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing…

Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas. However, in…

Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in…

As more manufacturers shift their focus from selling products to end solutions, full-service maintenance contracts gain traction in the business world. These contracts cover all maintenance related costs during a predetermined horizon in…

Reverse pricing has been recognized as an effective tool to handle demand uncertainty in the travel industry (e.g., airlines and hotels). To investigate its viability for communication networks, we study the practical limitations of…

The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…

Stochastic network calculus is a theory for stochastic service guarantee analysis of computer communication networks. In the current stochastic network calculus literature, its traffic and server models are typically based on the cumulative…

In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…

In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…

We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose we introduce a new class of state-dependent volatility…

Traditional insurance pricing relies on risk-based principles that ensure actuarial fairness and solvency but do not explicitly account for policyholders' price sensitivity. We formulate insurance pricing as a decision-making problem and…

We propose a conceptually novel method of reconstructing the topology of dynamical networks. By examining the correlation between the variable of one node and the derivative of another node, we derive a simple matrix equation yielding the…

Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…

For a Demand Response (DR) program with internet data centers (IDC), the Price-Amount curve that estimates how the potential DR amount depends on the DR price determined by power systems is crucial. Constructing this curve is challenging…